چکیده:
Banking system, as one of the most important parts of macroeconomy, plays a vital role in general economic equilibrium and transition of economic shocks in the society. Because of that, it is of sensitive role in national economy. In addition to implementing dictated monetary policies of central banks, they as any economic business, pursue the goal of increasing their profitability. In this study, we use Dynamic Stochastic General Equilibrium (DSGE) and take into account five economic sectors, namely households, entrepreneurs, mediator banks, distributors and government, to study the reaction of banks to emergence of monetary shocks. For this purpose, the authors seek to make use of long-term macroeconomic parameters. The results of our model show that, upon emergence of a positive shock on interest rate, due to the decrease of request for loan and the amount of lent money, the rate of loaning and as a result, the profit of banks is reduced, and in the case of a positive oil shock, the amount of market liquidity increases so the rate of loaning decreases and the scale of investment increases and finally, the households’ willingness to save is reduced. Therefore, the outcome of decrease of lending rate and decrease of deposits leads to a reduction in banks’ profitability.
خلاصه ماشینی:
The impact of monetary policies on bank performance using the Dynamic Stochastic General Equilibrium (DSGE) model Soraya Rafiee * , Karim Emami ** and Farhad Ghaffari *** Received date: 2018/06/30 Acceptance date: 2018/12/15 Abstract Banks, as one of the most important sectors of the macroeconomy, can play a significant role in the general equilibrium of the economy and the transmission of economic shocks in society.
In this research, using the Dynamic Stochastic General Equilibrium model and considering five economic sectors—households, entrepreneurs, intermediary banks, distributors, and the government—while utilizing long-term macroeconomic parameters, the reaction of banks to the occurrence of monetary shocks has been investigated.
The results obtained from the model indicate that with the occurrence of a positive shock to the interest rate, due to a decrease in the demand for loans and the amount of money lent, the lending rate and consequently the profit of banks decreases; and due to a positive oil shock, the volume of liquidity increases, in which case the lending rate decreases and the level of investment increases, and finally, the household's tendency to save decreases, which results in a decrease in the lending rate and a decrease in deposits, leading to a reduction in bank profitability.
In an oil-dependent economy, where a significant portion of the country's foreign exchange earnings and the government's public budget revenues depend on the performance of this sector, positive and negative oil shocks severely affect the volume of the money base through their impact on the central bank's balance sheet, and this itself is a major factor influencing the inflation rate (Pilehforoush, 2012).
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